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Media Release2016 BIS Triennial Survey Results – Australia

Foreign Exchange Market (Tables 1–3)

Turnover in the foreign exchange market in Australia covers all transactions undertaken by reporting dealers in
spot, outright foreign exchange forwards, foreign exchange swaps, currency swaps and currency options.[1] Transactions are recorded as 'Australian' if the sales desk
involved in the trade is located in Australia, regardless of where the trade is subsequently booked.[2]
Similarly, deals struck by an overseas sales desk but 'booked' in Australia are not included in the Australian data.
The Reserve Bank's survey for April 2016 covers 24 reporting dealers.

In April 2016, foreign exchange turnover averaged US$135 billion per day, compared with US$182 billion
per day in April 2013. This represents a decrease of around 25 per cent at current exchange
rates; however, turnover is little changed at constant exchange rates.

Turnover in the Australian spot market decreased by 34 per cent between 2013 and 2016, compared with a
19 per cent decline in global spot market turnover. Activity in the Australian outright forwards
market decreased by 16 per cent, in contrast to the global results which show an increase of 3 per
cent.

Turnover in foreign exchange swaps decreased by 23 per cent in the Australian market, in contrast to
the global results which show a 6 per cent increase. Foreign exchange swaps accounted for 66 per cent
of total foreign exchange turnover in Australia in April 2016.

Turnover in currency swaps declined by 27 per cent between April 2013 and April 2016, while turnover
in currency options decreased by 62 per cent. Both of these instruments continue to account for a
small share of turnover in the Australian market.

AUD/USD remains the most traded currency pair in the Australian market, accounting for 41 per cent of
total foreign exchange turnover in April 2016, which is a 3 percentage point decrease from its share at the
time of the previous survey. In contrast to the global results, the share of turnover in EUR/USD increased over
the three-year period and became the second most traded currency pair in the Australian market.

Transactions between reporting dealers and local financial institutions decreased by 22 per cent
between 2013 and 2016, and account for 19 per cent of total turnover in the Australian market.
Transactions with overseas financial institutions fell by 24 per cent, and their share of total turnover
increased by 1½ percentage points to account for 77 per cent of turnover. Transactions with
non-financial institutions declined by 55 per cent over the three-year period, but these transactions
only account for around 4 per cent of turnover.

Table 1: Australian Foreign Exchange Market Turnover(a)(b)

Daily average turnover, US$ billion

By type of transaction

April 2001

April 2004

April 2007

April 2010

April 2013

April 2016

Spot

13.2

35.7

44.5

60.2

47.8

31.4

against AUD

6.5

15.3

16.6

20.6

17.6

12.0

against other currencies

6.7

20.4

27.9

39.6

30.2

19.5

Outright Forwards

3.5

5.5

12.3

8.0

11.6

9.8

against AUD

2.3

3.4

5.5

4.9

6.9

5.6

against other currencies

1.2

2.1

6.8

3.1

4.7

4.2

FX Swaps

35.3

60.9

107.0

117.5

115.2

89.2

against AUD

18.1

30.0

58.3

55.8

61.3

41.6

against other currencies

17.2

30.9

48.7

61.8

53.9

47.6

Currency Swaps

0.5

1.2

2.4

4.4

4.5

3.3

against AUD

0.3

0.9

2.1

3.2

3.7

2.8

against other currencies

0.2

0.3

0.3

1.2

0.7

0.5

Currency Options

1.6

3.8

4.7

1.9

2.6

1.0

against AUD

1.3

2.4

3.0

1.3

1.9

0.7

against other currencies

0.3

1.4

1.7

0.6

0.7

0.3

Total

54.0

107.1

170.9

192.1

181.7

134.8

against AUD

28.5

52.0

85.5

85.8

91.3

62.6

against other currencies

25.5

55.1

85.4

106.3

90.4

72.1

(a) Adjusted for local inter-dealer double counting
(b) Totals may not sum due to rounding

(a) Adjusted for local inter-dealer double counting
(b) Totals may not sum due to rounding

OTC Interest Rate Derivatives (Tables 4–6)

Turnover in OTC interest rate derivatives covers all transactions undertaken by reporting dealers in single currency
forward rate agreements, interest rate swaps and interest rate options. The Reserve Bank's survey covers 24 reporting
dealers, with transactions recorded based on the location of the sales desk.

In April 2016, OTC interest rate derivatives turnover in Australia averaged US$49 billion per day, compared with
US$66 billion per day in 2013. This represents a decrease of 26 per cent at current exchange rates; in contrast,
global turnover in OTC interest rate derivatives increased by 15 per cent over the same period. At constant
exchange rates, turnover in the Australian OTC interest rate derivatives market is little changed from 2013.

Turnover in forward rate agreements in Australia declined by around 75 per cent over the period, following a
sharp increase between 2010 and 2013. Turnover in interest rate swaps decreased by 7 per cent, and accounts for
88 per cent of all turnover in OTC interest rate derivatives.

Transactions between Australian reporting dealers and overseas financial institutions
decreased by 21 per cent over the period to US$36 billion per day, however their share of OTC interest rate derivatives
turnover increased by 4 percentage points to 72 per cent. Transactions with local financial institutions decreased by
30 per cent to US$12 billion per day, while transactions with non-financial institutions decreased by around 60 per cent,
but only account for a small share of OTC interest rate derivatives turnover.

Turnover of Australian dollar-denominated instruments, which represent the bulk of the Australian OTC interest
rate derivatives market, declined by 28 per cent. Turnover of US dollar-denominated instruments fell by 25 per cent,
while turnover of instruments denominated in ‘other’ currencies increased.

Table 4: Australian OTC Interest Rate Derivatives Turnover(a)(b)

Daily average turnover, US$ billion

April 2001

April 2004

April 2007

April 2010

April 2013

April 2016

Forward rate agreements

5.5

5.6

3.6

6.7

18.2

4.8

Swaps

4.0

6.7

17.8

33.6

46.7

43.5

Options

0.3

0.5

1.3

0.3

1.3

0.9

Total

9.8

12.8

22.7

40.6

66.2

49.3

(a) Adjusted for local inter-dealer double counting
(b) Totals may not sum due to rounding

Table 5: OTC Interest Rate Derivatives Turnover by Counterparty(a)(b)

Daily average turnover, US$ billion

By type of transaction

April 2001

April 2004

April 2007

April 2010

April 2013

April 2016

Forward Rate Agreements

5.5

5.6

3.6

6.7

18.2

4.8

Financial institutions - local

2.9

2.4

1.4

1.8

4.0

0.9

Financial institutions - overseas

1.8

3.1

1.9

3.5

14.1

4.0

Non-financial institutions

0.8

0.2

0.4

1.4

0.1

*

Swaps

4.0

6.7

17.8

33.6

46.7

43.5

Financial institutions - local

1.5

1.8

2.9

8.2

13.5

11.1

Financial institutions - overseas

2.2

4.2

13.6

22.9

29.9

31.1

Non-financial institutions

0.3

0.8

1.3

2.5

3.3

1.3

Options

0.3

0.5

1.3

0.3

1.3

0.9

Financial institutions - local

0.1

0.1

0.1

*

*

0.3

Financial institutions - overseas

0.1

0.4

0.1

0.3

1.1

0.5

Non-financial institutions

*

*

1.2

*

0.1

*

Total

9.8

12.8

22.7

40.6

66.2

49.3

Financial institutions - local

4.5

4.3

4.3

10.1

17.5

12.2

Financial institutions - overseas

4.1

7.7

15.6

26.7

45.2

35.7

Non-financial institutions

1.1

1.0

2.8

3.9

3.5

1.4

*Indicates less than US$50 million
(a) Adjusted for local inter-dealer double counting
(b) Totals may not sum due to rounding

Table 6: OTC Interest Rate Derivatives Turnover by Currency(a)(b)

Daily average turnover, US$ billion

April 2001

April 2004

April 2007

April 2010

April 2013

April 2016

AUD

7.7

10.7

15.3

33.6

54.7

39.3

USD

1.2

1.1

0.8

3.3

8.7

6.5

EUR

0.3

*

0.1

0.2

0.4

0.1

GBP

0.1

*

*

0.1

0.1

*

JPY

0.3

0.2

0.5

0.6

*

0.1

Other

0.3

0.7

6.1

2.8

2.2

3.3

Total

9.8

12.8

22.7

40.6

66.2

49.3

*Indicates less than US$50 million
(a) Adjusted for local inter-dealer double counting
(b) Totals may not sum due to rounding

Footnotes

Note that only one leg of a swap contract is recorded to
avoid double counting the transaction.
[1]

In cases where no sales desk is involved, the location of
the transaction is determined based on the location of the trading desk.
[2]